Exponential Smoothing Methods of Forecasting and General ARMA Time Series Representations

R.G. Shami and Ralph David Snyder ()

No 3/98, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: The focus of this paper is on the relationship between the exponential smoothing methods of forecasting and the integrated autoregressive-moving average models underlying them. In this paper we derive, for the first time, the general linear relationship between their parameters. A method, suitable for implementation on computer, is proposed to determine the pertinent quantities in this relationship. It is illustrated on common forms of exponential smoothing.

Keywords: FORECASTS; TIME SERIES (search for similar items in EconPapers)
JEL-codes: C53 C32 (search for similar items in EconPapers)
Date: Written 1998
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